Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0587
Annualized Std Dev 0.1918
Annualized Sharpe (Rf=0%) 0.3062

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1276
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0057
Maximum 0.1356
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0121
Skewness 0.1195
Kurtosis 15.0076

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0089
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5378
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0285
Modified VaR (95%) -0.0155
Modified ES (95%) -0.0155
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-03-05 -0.5378 1359 355 1004
2000-01-18 2002-10-09 2006-10-04 -0.3777 1689 685 1004
2020-02-13 2020-03-23 2020-11-16 -0.3706 193 27 166
2018-10-04 2018-12-24 2019-06-20 -0.1860 178 56 122
2015-05-20 2015-08-25 2016-07-12 -0.1445 289 68 221

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.1 0.2 0.5 -1.1 0.9 1.2 -1.3 1.2 -1 -1 1.3 0.6 1.6
2000 0.7 0.1 -0.6 0.5 1.1 0.1 1 0.1 -1.6 -0.2 -0.6 -1.8 -1.2
2001 1.2 -0.3 1 1.7 1.3 -0.4 0.2 0.6 0.4 2 -0.2 -1.3 6.3
2002 0 2.7 -0.3 1.5 -0.1 -1.6 -2.6 -0.3 5.3 1.9 -0.7 0.2 5.8
2003 1.9 0.3 1.2 -0.3 1.6 0.7 -0.7 0.5 1.8 -0.3 1 0.2 8.4
2004 0 0.8 0.2 -0.7 0 -1.3 0.2 0 1.3 0.3 1.3 -0.3 1.7
2005 0.6 0.5 -0.9 1.4 0.7 0.4 -0.4 -0.3 0.3 0.2 0.8 -0.7 2.5
2006 1.2 0.5 -0.1 -0.5 0.6 0 -0.6 0.8 -0.1 -0.4 -0.2 -0.3 0.8
2007 0.4 -0.2 0.2 0.5 0.2 0.1 0.9 0.6 1.2 -2.2 0.7 -0.6 1.9
2008 1.1 -2.2 3 1.4 -0.1 0.3 -0.5 -1.4 0.3 1.1 -7.5 1 -3.9
2009 -1.8 -1.5 2.2 0.6 2.3 0.4 0.3 -1.9 -2 -2.5 1.1 -1.1 -4
2010 1.3 0.7 0.6 -1.4 -1.1 -0.4 0 2.6 0.4 0 2.3 0.2 5.1
2011 1.3 -1.5 0.4 0.5 -2.2 1.4 0 -0.9 -2.2 -2.5 0 -0.5 -6.3
2012 0.7 0.2 0.5 0.6 -2.2 2.1 -0.2 0.7 0.5 1.1 0 1.2 5.2
2013 1 0.3 0 -0.9 -1.3 0.6 0.7 -0.3 0.4 0.4 -0.1 0.5 1.3
2014 -0.9 0.3 0.4 -0.1 0.1 0.8 -0.4 0.1 -1.4 1.1 -0.3 -0.9 -1.3
2015 -1.4 -0.5 -0.5 1 0.2 0.9 -0.3 -2.9 -0.1 -0.5 0.9 -1 -4.2
2016 0 2.2 0.6 -0.3 0 0.2 -0.1 0.1 0.9 -0.6 0.3 -0.2 2.9
2017 0.1 1.5 -0.3 -0.1 0.7 0.3 0.3 0.2 0.1 0.2 -0.2 -0.3 2.6
2018 0.1 -1.7 1.3 -0.3 0.9 0.3 -0.4 -0.1 0.9 1 0.8 1.2 3.9
2019 0.1 0.4 1.3 -0.6 -1.4 0.4 -1 0.1 -1.4 1.1 -0.3 0.2 -1.2
2020 -2.1 -1.1 -4.5 -2.4 0.4 -0.2 0.4 0.9 0.2 -0.6 0.6 0.5 -7.8
2021 0.7 2 -1 NA NA NA NA NA NA NA NA NA 1.7

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart